To realize the multi-target localization based on Received Signal Strength Indicator (RSSI), this study proposes a new Distributed Multilateral Fusion Localization (DMFL) algorithm with point estimation and ellipse estimation. Firstly, the rough locations of targets are estimated by the multilateral localization algorithm. Then, in light of the interval analysis theory, the higher-order remainder bound of Taylor series expansion is obtained and the set-membership recursive algorithm is used to solve the problem of multi-target localization. Finally, the performance of the localization algorithm is verified through experiments and simulations. The results show that, under the same nodes layout conditions, the algorithm improves the accuracy of localization compared with the latest localization algorithms, with the maximum error being less than 0.3 m. Moreover, it can determine the optimal regions that contain the real locations of targets.